I am just learning this PI stuff rt now. I saw a posting "How to activate ABAP Proxies" and found that we need to update the IS_URL on R3 side as "dest://<HTTP Destination> but my Admn says that this format works only for ECC systems but not for R3 kind of Old Application Systems. So as of now the IS_URL in my R3 Integration Server Configuration I have just regular PI URL with host and port information format:

http://<HOST:Port>/sap/xi/engine?type=entry

So in otherwords, I am not at all using HTTP RFC destination. NOw I did check proxy from the menu options and did SLD check and my test is successfull in all aspects. But when I trigger the proxy I am getting the above message: HTTP status code 401 : Unauthorized